What should I do if I think I’ve been hacked?

I think I might have been hacked! Yesterday, I noticed a lock screen on my phone several times while receiving messages from someone who seemed to know everything I was doing. They could ring my alarm, reset my phone remotely, and even knew my exact location and the other devices connected to my Wi-Fi. They even showed me a picture of my Wi-Fi network, which they must have accessed when they visited my house before. At the top of the lock screen, it said "phone lost" with a custom message and buttons for "unlock" and "emergency." Is this some kind of 'lost mode,' and what should I be worried about? How can I stop them?